【作者】 陈守东； 周彻；

【Author】 CHEN Shou-dong;ZHOU Che;Quantitative Research Center of Economic,Jilin University;Business School,Jilin University;

【机构】 吉林大学数量经济研究中心； 吉林大学商学院；

【摘要】 采用基于信息的理论模型证实主体为了解决参数不确定性而采取的信息获取行为会导致价格跳跃,这种价格跳跃能够被收益率的极端值所描述,进而反映出市场参数不确定性的扩散途径,修正归一尺度后的极端分位数回归方法适合对该模型假设进行统计分析。研究表明:在正常市场状态下,沪深300市场参数不确定性并不受其他三个股指市场参数不确定性影响,但这种独立性会被股指间的共振所干扰,市场参数不确定性开始从创业板和中小板向沪深300蔓延;高频数据下,投资者以中证500为标的进行的套利操作和风险管理使得中证500市场参数不确定性在两个上涨时期内能够缓解沪深300、创业板和中小板市场参数不确定性;中小板与创业板市场参数不确定性对其他股指市场参数不确定性影响途径和强度极为类似。更多还原

【Abstract】 In this paper,a theoretical model based on information is used to prove that the information acquisition behavior of the subject in order to solve the parameter uncertainty leads to the price jump,which can be described by the extreme value of the return rate and reflects the diffusion path of the uncertainty of the market parameters.The extreme quantile regression method with the re-normalized scale is suitable for statistical analysis of the model hypothesis.The research shows that under the normal market conditions,the uncertainty of the market parameters of CSI 300 are not affected by the uncertainty of the market parameters of the other three stock indexes.However,this independence will be interfered by the resonance between the stock index,uncertainty in market parameters began to spread from the GEM and small plates to the CSI 300.Under the high-frequency data,CSI 500 market parameter uncertainties ease market parameter uncertainties of CSI 300,GEM and SME in boom periods due to arbitrage operation and risk management conducted by investors on the basis of CSI 500.The market parameter uncertainty of SME board and the GEM have similar impact on the market parameter uncertainty of other stock indices.更多还原